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If history repeats itself on September 24, the Primetime Emmys will end with Matthew Weiner and the cast of AMC’s Mad Men thanking the TV Academy for their fifth consecutive award for Outstanding Drama Series. Four stars who probably won’t make it to the podium, though, are Bryan Batt, Maggie Siff, Randee Heller, and Michael Gladis, whose characters have been written off the show. Weiner’s willingness to abruptly dispatch even his most audience-beloved creations — including fired art director Sal Romano, department-store heiress (and dumped Don Draper paramour) Rachel Menken, dead secretary Ida Blankenship, and ousted beatnik copywriter Paul Kinsey — often seemingly smack in the middle of their narrative arcs, has helped make Mad Men one of the most affecting, least predictable series on TV. But it certainly hasn’t been easy on the actors. We conference-called Batt, Siff, Heller, and Gladis for some group therapy.

The consensus among Mad Men fans is that your characters left the show too soon. Is it safe to assume that’s how you feel too?

Michael Gladis (Paul Kinsey): For Paul, it made sense, because he was really there to serve Peggy’s arc. He was the one who gave her the tour of Sterling Cooper back in season one and encouraged her to become a copywriter. And toward the end, she surpassed him in talent. Particularly in the third season, right before [the firm split], when Paul had that great idea and forgot it and Peggy and Don started spitballing in the office and saved his ass.

Bryan Batt (Sal Romano):Sal just kinda dangled. He ended up in Central Park calling his wife, and that was it. It’s heartwarming that everywhere I go, ­people come up and say how much they love the character. Mainly women; they hug me, saying, “Are you okay?” I was in Rome, at the Vatican, and there were these ­German tourists who wanted pictures with Sal. All I could say was, “Look up at the Sistine Chapel and take a picture of that!”

Randee Heller (Ida Blankenship): People say, “They killed you off too fast; why did they do that?” But you know what? I think [Weiner] slam-dunked it. He knew exactly when to close on Miss Blankenship. What else was she going to do, have an ­affair?

Maggie Siff (Rachel Menken): [Rachel] was definitely one of the most complicated, richly drawn characters I’ve ever had the honor of playing. But that’s one of the things that makes that show so powerful — characters that have these entire universes around them, floating through and exiting, but their impact lives on. I remember an episode in the second or third season where Don Draper and Roger Sterling went out and Don had a Menken’s [department store] bag — I was tickled by that. The mythology of the character, the ghost of the character, is still alive.

How did you find out that you’d been written off?

B.B.: Matt called me on the phone to explain that [Sal] was going to be fired, but in the same breath he said, “You’re not dead!” It was awkward. I didn’t see it coming. But I know people on other shows who have found out they weren’t coming back when they drove to the lot and had no parking space.

M.G.:Matt always told us he’d give us advance notice. But I didn’t have any inkling that I was going to be off the show until I read the last script for season three, and even then it was sort of ambiguous. The last thing you see of Sterling Cooper is Paul seeing that ­Peggy’s gone and saying “Dammit.” So I texted Matt, and I said, “Uh, can I call you?” I got a call back about an hour later, and I learned that Paul would not be coming back as a regular. Some people were kind of appalled that it was sprung on me so last-minute. But in Matt’s defense, I’m grateful, because had he told me a month earlier, it would’ve affected my enjoyment — and maybe the quality — of my work. He just let me enjoy it for as long as I did, and then he pulled the rug out from under me.

R.H.: I found out accidentally. Somebody who was working on the set said, “I’m going to miss you!” And I go, “What?!” I just crumpled. Then Matt called me, and he was so sweet. He said, “Look, that was all preordained.” And then I got an Emmy nomination, so it worked out okay.

Maggie, your character had an affair with Don Draper in season one. Did that alone tell you she probably wouldn’t last?

M.S.: Oh, yes. I knew from the beginning that she was probably a one-season character. Don Draper had a lot of women to burn through. I was just the tip of the iceberg. But also, none of us knew if the show would even be renewed for season two. We all thought it was an art project or something.

Characters disappear and ­reappear on Mad Men all the time. Do the producers keep you on ­retainer?

M.G.: No, not at all. In fact, when Paul came back last season, I had no idea it was coming, I had no idea how it was going to be done, and it was with very little notice.

M.S.: Your agent calls you and says, “Mad Men’s put a pin in you for these dates. And you’re like, “They have?!” There was one time when [I got a call] about bringing Rachel back, but then Matt changed his mind.

Michael, you returned to the show this past season. What was it like to get that call?

M.G.: It was very exciting, but in typical Mad Men fashion, it was immediately tempered by, “Don’t tell anyone, even your friends who are still on the show, because it’s not 100 percent.”

Paul returned as a Hare Krishna. Did they at least tell you that much before you arrived on the set?

M.G.: Well, I knew a little bit because I’d had conversations with the producers about shaving my head. But even then, they were being really swirly about why. I was like, “Did he go to Vietnam? Does he have cancer?”

How would you characterize the level of secrecy at Mad Men compared to other shows you’ve worked on?

M.G.:You ever heard of the CIA? They’re nothing compared to these folks.

B.B.:Even before the first season aired, I remember Matt saying, “Don’t even leave your script in your car when you’re going to a restaurant and have to valet park.” Each script is coded with your name on it, so they can keep track of them.

M.G.: When I was shooting that episode this past season, I literally had to wear a floor-length trench coat over my Hare Krishna robes and have an umbrella over me when I was walking down the street to the set. They surrounded me with people with umbrellas so nobody could possibly get a cell-phone picture of me with my head shaved.

If you could each have one more episode to wrap up your character’s story line, how would you like to see it play out?

R.H.: I could have been under Don Draper’s bed when he had that fever last season. I had this fantasy that they bring not Miss Blankenship back, but her sister, and I get to play her sister. But they better get me before I die! Hurry up!

M.S.: For Rachel, I hope at some point she sloughs off that husband of hers. I would be very curious to see how she lives in the city because she’s such an independent thinker.

M.G.: I think it would be a hilarious commentary on Hollywood if Paul actually did take the $500 from Harry Crane and go to L.A., but because he is a dilettante and a hack and kind of talentless, he succeeded wildly. Then at the end of the series, I’d like to see Paul give Harry a job in Hollywood.

B.B.:I just see Sal in a caftan on Fire Island. I’ve had so many scenarios playing in my head, of divorce and kids and finding Sal’s soul mate. But that’s the Pollyanna in me, thinking he’s going to be happy. That’s not really the way Mad Men works.

Bryan, when Sterling Cooper Draper Pryce lost the Lucky Strike account at the end of season four, did you think you’d be back for season five?

B.B.:Oh, God, yes. I did the calculations, like, Okay, now Sal’s nemesis is gone, so you can come back. But of course that’s what everyone would expect, so I think the opposite could happen as well. I’m holding onto Matt’s word that Sal’s not dead.

How did the rest of the cast react when they heard you were leaving?

M.G.: Rich and Christina Hendricks were on set on my last day. They were tearing up at the monitor for my last take, so that was nice.

B.B.: [Mad Men producer] Scott Hornbacher will say, “Ladies and gentlemen, Mr. Bryan Batt.” And everybody will applaud, and then you’ll go to your trailer and cry.

M.G.: Or you don’t even make it to your trailer. You start crying as soon as you’re out of the shot. You run.

Which other departed Mad Men actor do you feel most sorry for? That guy who lost his foot in the lawn mower? One of the three actors who used to play Bobby Draper?

B.B.: I begged to be in the lawn-mower shot. I wanted my Carrie moment, to get splattered in blood. And [the Bobby Drapers] were always looking at the camera in the middle of a take, remember? That’s why there were so many of them! How about Mike the Bellhop? Orestes Arcuni. He’s a wonderful actor.

Peggy left the firm at the end of this past season. Weiner recently said that Elisabeth Moss “is going to be on the show next year,” but “can’t say how much, or what it’s going to be.” Will she just be on pins and needles until she sees her next script?

M.G.: I have no knowledge of such circumstances, and even if I did, I would not be able to speak of them. I would assume that she and Matt have spoken, so Elisabeth knows what’s going on even if the rest of the world doesn’t. But that could be totally false.

Do you still watch Mad Men?

M.S.: Oh, yeah, I’ve seen every episode.

M.G.: Yeah, we kind of have to for the sake of our fans.

B.B.: A fan once came up asking all these questions right after an episode aired. And I said, “Honey, I’m sorry. I didn’t catch it.” And she just went, “Why not?!” and really gave me the business for it.

R.H.: I’ll be honest with you, I didn’t watch it before. I watched it while I was on, and haven’t really watched it since. Oh my God! All right, well, the truth is out.

This article appeared in the September 17, 2012 issue of New York Magazine.